level of significance using xcorr

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cgo on 21 Feb 2017
Edited: Alex Backer on 7 May 2020
The xcorr function in Matlab returns the maximum correlation coefficient of two univariate time series data with their corresponding lag. May I know if there is a test of significance/confidence interval for this function in Matlab?

Answers (1)

Alex Backer
Alex Backer on 7 May 2020
Edited: Alex Backer on 7 May 2020
I wrote some code to estimate the p-value empirically:
Alex Backer (2020). xcorrpvalue (https://www.mathworks.com/matlabcentral/fileexchange/75403-xcorrpvalue), MATLAB Central File Exchange. Retrieved May 7, 2020.
Hope it helps.

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